Using the Reversible Jump MCMC Procedure for Identifying and Estimating Univariate TAR Models (Q4921600)

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scientific article; zbMATH DE number 6162284
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Using the Reversible Jump MCMC Procedure for Identifying and Estimating Univariate TAR Models
scientific article; zbMATH DE number 6162284

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    Using the Reversible Jump MCMC Procedure for Identifying and Estimating Univariate TAR Models (English)
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    13 May 2013
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    Bayesian model choice
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    nonlinear time series
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    regime-switching models
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    RJMCMC
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    threshold autoregressive (TAR) models
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